Information arrival as price jumps

被引：4
作者：
Polimenis, Vassilis [1 ]
机构：
[1] Aristotle Univ Thessaloniki, Div Business Adm, Sch Law & Econ, Thessaloniki 54124, Greece
来源：
OPTIMIZATION | 2012年 / 61卷 / 10期
关键词：
stock beta; price jump; Levy process; noise trading; information; return skew; asymmetric beta; STOCHASTIC VOLATILITY; LEVY PROCESSES; OPTIONS; RISK; EQUILIBRIUM; PREFERENCE; VALUATION; SKEWNESS; IMPLICIT; RETURNS;
D O I：
10.1080/02331934.2011.619264
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is transmitted via price jumps. Noise is idiosyncratic and does not propagate across securities. The main contribution is the development of an exact closed-form non-parametric jump risk estimator that boosts the 'signal-to-noise' ratio by utilizing co-skew moments. Empirically, the procedure is used to extract the i-beta and i-gamma for Google and Yahoo on NASDAQ, and provide a possible explanation of their seemingly low Sharpe ratio during the 2006-2008 period based on their asymmetrically high i-beta value.
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页码：1179 / 1190
页数：12
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